Installation:

Copy the file (*.xpm.gz) to e.g. /boot/grub/

Then add the following line to your /boot/grub/menu.lst:

splashimage=(hd1,0)/boot/grub/blu.xpm.gz

Change the (hd1,0) if you have a different setup.

Description:
The following is needed in your GRUBs menu.lst file, you may need to adjust it depending on your configuration and where you put the downloaded file
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#path to the image
splashimage=(hd0,6)/boot/grub/splashimages/kubuntu-grub.xpm.gz
#the following is used to change the screen colours when splashimage is used
# Set text color to RRGGBB
foreground FCC34B

# Set shadows and selected highlight to RRGGBB
#this is NOT the screen background but the text shadow
background D24953